You have two types of cavalry units:
Light Cavalry
Light cavalry[]
The Light Cavalry is quicker and more manoeuvrable than the Heavy Cavalry and can even attack at long range, but this unit is not very effective against Heroes or buildings.
The role of Light Calvary is for scouting and reconnaissance, not so much for direct combat because of their lack of armor to keep them extremely mobile. However they can pick off other ranged units if that is needed or raid stray workers and buildings.
Level 1: Mounted Bowmen
Level 2: Mounted Crossbowmen
Heavy cavalry[]
This swift and heavily armoured, mounted close-combat unit not only performs well against other Cavalry units and Swordsmen , but also has the advantage of being higher up! They represent an outstanding fighting force against almost all the other units.
Heavy Calvary are the Settlers Equivalent of Heavy tanks and elite shock units, wearing very heavy armor without sacrificing much mobility. Care should be taken that Heavy Cavs are rather expensive to train and can still be picked off with Archers or have a huge problem with Spearmen and Lancers. However their heavy armor allows them to easily shrug off gunpowder and rifle fire and are the best units that can take on heroes directly in combat while their relatively fast speed allows them a choice to jump into combat or retreat to conserve resources.
Level 1: Mounted Shortswordsmen
Level 2: Mounted Battle-Axe men
Heavy cavalry